How do I test if two time series' coefficients differ significantly from one another? I feel like this should be pretty simple... should I just use the estimates/standard errors and calculate a Z-score?
Your help is much appreciated.
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The Chow Test can be used to test the equivalence of two (or more ) time series models.
answered Feb 12, 2013 at 21:21
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$\begingroup$ Awesome - this looks like exactly what I need. Do you have any recommendations for packages to use in R? $\endgroup$– 123456Feb 12, 2013 at 22:03
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1$\begingroup$ Actually this does not appear to be what I am looking for - is the Chow Test only used for looking for structural breaks in time series models? That is all I can seem to find references on. I am wanting to compare the time series of two separate groups, starting from the same time point. $\endgroup$– 123456Feb 12, 2013 at 22:08
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$\begingroup$ The Choe test can be used to test for structural breals IF you pre-specify the break point. AUTOBOX , a piece of software that I have helpewd write actually searches for the breakpoint. The null hypothesis you are specifying is that all the coeffiecients are equal . Thid id the null hypothesis of the Chow Test thus it is exactly what you are lookin for at least in my opinion. $\endgroup$ Aug 12, 2013 at 12:15